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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 3, Pages 618–626
(Mi tvp3837)
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Short Communications
Markov functionals of an ergodic Markov process
D. Alimov Turkmenian Polytechnical Institute
Abstract:
We say that a process $(\xi(t))_{t\ge 0}$ is a Markov functional of a basic homogeneous Markov process $(X(t))_{t\ge 0}$ if the pair $(X(t),\xi(t))_{t\ge 0}$ is a Markov process. In the paper a sequence of Markov functionals $(\xi_n(t))_{t\ge 0}$ of the basic process $(X(t))_{t\ge 0}$, which is degenerate in the limit, is considered and the limit behavior of the distribution of the pair $(X(t),\xi(t))_{t\ge 0}$ is studied as $n\to\infty$.
Keywords:
homogeneous Markov process, Markov functionals, additive functionals, multiplicative functionals, dynamic systems under random effect, invariant distributions.
Received: 09.10.1990
Citation:
D. Alimov, “Markov functionals of an ergodic Markov process”, Teor. Veroyatnost. i Primenen., 39:3 (1994), 618–626; Theory Probab. Appl., 39:3 (1994), 504–512
Linking options:
https://www.mathnet.ru/eng/tvp3837 https://www.mathnet.ru/eng/tvp/v39/i3/p618
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